nyse pillar migration€¦ · •odd lots will be aggregated to the least aggressive price •new...
TRANSCRIPT
NYSE PILLAR MIGRATION
May 8, 2019
Jon Herrick – Head of Equities
Sridhar Masam – Head of Technology
Mike Paulyson – Head of Product Management
INTERCONTINENTAL EXCHANGE
FRIENDLY REMINDER
2
• This document highlights some of the high level changes that will take place during the NYSE Pillar migration
• Members are strongly encouraged to read the Functional Differences between NYSE Group Equities Platforms document for a list of all changes including (but not limited to):
−Eliminated order types and modifiers
−Functional Differences between CCG-UTPDirect and NYSE Pillar Gateway
−The comprehensive list of upcoming changes across the following categories -General, Gateways, Order Handling, Market Data and Auctions
• The migration plan and dates are subject to effectiveness of rule filings with the SEC
NYSE Pillar Migration
INTERCONTINENTAL EXCHANGE
NYSE PILLAR
NYSE Pillar Migration 3
Agenda
• NYSE Pillar Achievements
• NYSE Migration Plan
• NYSE Functional Changes
−Order Handling/Auctions
−Market Data
• NYSE Gateway Migration
• Cross-Market Changes: Introduced with upcoming NYSE Pillar release
• Resources
• Support Contacts
INTERCONTINENTAL EXCHANGE
NYSE PILLAR: ACHIEVEMENTS
NYSE Pillar Migration 4
Migrated markets and latency improvements
NYSE PILLAR
May 10, 2016 April 25, 2018
July 24, 2017 May 21, 2018
200 85250
3000
40 32 40 90
0
500
1000
1500
2000
2500
3000
3500
Mean Median 90th Percentile 99th Percentile
NYSE Tape AProjected Round-Trip Latency
UTPDirect (Binary)[UTP MEs]
NYSE Pillar Gateway (Binary)[Pillar MEs]
La
ten
cy in
Mic
rose
co
nd
s
Tape B & C
INTERCONTINENTAL EXCHANGE
NYSE PILLAR: MIGRATION PLAN
5
Key dates
NYSE PILLAR
June 3, 2019NYSE American cross
functional release
June 17, 2019• NYSE Tape A shadow
begins with test symbols
• NYSE Tape B & C cross
functional release
• NYSE National cross
functional release
July 1, 2019• NYSE Pillar Gateway
Go-Live Tape B and C
• NYSE Arca cross
functional release
August 5, 2019NYSE Tape A
Migration begins
May 18, 2019Weekend test
with OATS testing
June 15, 2019Weekend test
with OATS testing
June 29, 2019Weekend test
August 3, 2019Weekend test
~3 weeks
July 20, 2019Weekend test
with OATS testing
July 27, 2019Weekend test
NYSE Pillar Migration
INTERCONTINENTAL EXCHANGE
NYSE PILLAR: FUNCTIONAL CHANGES
NYSE Pillar Migration 6
Order handling/auctions
Order handling
• Done for day messages generated regardless of subscription
• Self-trade prevention
−STP-New and STP-Old only to be supported
−No STP between orders submitted via legacy and Pillar gateway
• Minimum Trade Size Enhancements - Introduction of Min. Fill (Order-By-Order evaluation on arrival)
• Cancel request to reduce order quantity not supported
−Must use Cancel/Replace message instead
• Odd lot working and display price changes
• Sell short Market Order changes
Auctions
• Cut-off for both entry and cancellation of D-Orders at 3:59:50P.M.
• New billing indicator for broker cross
INTERCONTINENTAL EXCHANGE
NYSE PILLAR: FUNCTIONAL CHANGES
7
Market data
• Order Imbalances Feed - Additional fields – cross market
• NYSE Integrated Feed - Additional multicast channels
• Auction prints to SIP and XDP Trades sent as bundled – cross market
• Odd lots will be aggregated to the least aggressive price
• New Price Scale code 3 (for BRK.A) on symbol index mapping messages
• NYSE BBO to be zeroed out at scheduled closing time
• NYSE Alerts feed – Decommission on August 2, 2019
NYSE Pillar Migration
INTERCONTINENTAL EXCHANGE
NYSE PILLAR: GATEWAY MIGRATION
8
NYSE Pillar Gateway - New
• Can be used to send orders for symbols migrated to Pillar
• Firm Identifier - MPID
• Mandatory Certification Testing
• OATS reports - Firm must use MPID
Legacy and NYSE Pillar gateways
NYSE CCG/BCCG - Legacy Gateway
• Can be used for orders for symbols migrated to NYSE Pillar as well as symbols trading on UTP
• Firm identifier - Mnemonic
• Certification testing is optional but strongly recommended
• OATS reports: firm must use Mnemonics
• Floor Routing will remain available via the legacy CCG gateway only; NYSE Pillar Gateway support planned as future enhancement
• Legacy gateways will be available during parallel period; sunset date to be announced
NYSE Pillar Migration
INTERCONTINENTAL EXCHANGE
NYSE PILLAR: CROSS MARKET CHANGES
9
All NYSE Pillar markets - NYSE, NYSE Arca, NYSE American and NYSE National
• Minimum trade size enhancements - Introduction of Min. Fill (order-by-order evaluation on arrival)
• Non-displayed orders rejected during pre-open for all markets and during a halt on the primary market
• Cancel resting non-displayed orders during a halt
• Odd lot working and display price changes
• Sell short Market Order changes
NYSE, NYSE Arca and NYSE American
• Trading halt
− In non-primary symbols, Market Orders will be cancelled
− In primary symbols, Market Orders remain open and resting and new Limit Orders (including LOOs) will be repriced and displayed to market data feeds at their limit price
• Closing auction - primary pegged orders are not eligible to participate in closing auctions
• New liquidity indicators for auctions
NYSE Pillar Migration
INTERCONTINENTAL EXCHANGE
NYSE PILLAR: RESOURCES
10
• Additional information including system specifications can be found on the NYSE Pillar landing page at nyse.com/pillar
• Functional Differences Document: NYSE Group Equities Platforms Details
• Gateway Functional Differences Document: CCG/UTP Direct vs. NYSE Pillar Gateway
• Information relating to market data changes: nyse.com/market-data/real-time
NYSE Pillar Migration
NYSE PILLAR: SUPPORT CONTACTS
Trading Operations: [email protected] 212-896-2830 x1
Connectivity: [email protected] 212-896-2830 x2
Technology Member Services: [email protected] 212-896-2830 x2, 2
Client Relationship Services: [email protected] 212-896-2830 x4
Relationship Management: [email protected] 855-898-9012
NYSE Pillar Migration
INTERCONTINENTAL EXCHANGE
Thank you
12